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Transmissão de preços no mercado brasileiro de soja

  • Sousa, Eliane Pinheiro de
  • Campos, Antonio Carvalho
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    Este estudo estima as elasticidades de transmissão entre pares de preços para a soja produzida no Mato Grosso e Paraná; Mato Grosso e Rio Grande do Sul; e Paraná e Rio Grande do Sul, com o intuito de testar a validade da Lei do Preço Único entre esses mercados. Os dados empregados correspondem às médias mensais dos preços nesses estados, obtidos junto ao Centro de Estudos Avançados em Economia Aplicada (CEPEA) da ESALQ / USP, para o período de janeiro de 2001 a fevereiro de 2008. Para tal, utilizam-se testes de raiz unitária e de co-integração de Johansen, estimação da função impulso-resposta, decomposição da variância dos erros de previsão e estimação e análise do modelo vetorial de correção de erro (VEC). Os resultados indicam que o primeiro par de preços, Mato Grosso e Paraná, não apresenta relação de co-integração, porém os outros dois pares apresentam-se co-integrados e que as variações de preços de longo prazo, ocorridas no Rio Grande do Sul, são transmitidas quase que totalmente para os preços da soja no Paraná e no Mato Grosso. Dessa forma, esses mercados poderiam ser considerados perfeitamente integrados se a hipótese de perfeita integração entre mercados não tivesse sido rejeitada quando restrições foram impostas no coeficiente de relacionamento de longo prazo. Portanto, a Lei do Preço Único não foi perfeitamente verificada nesses mercados de soja.--------------------------------------------This study estimates the price transmission elasticities between pairs of soybean prices for the states of Mato Grosso and Paraná; Mato Grosso and Rio Grande do Sul; and Paraná and Rio Grande do Sul in order to test the validity of the Law of One Price among those markets. The data correspond to the monthly average soybean prices for those states, extracted from the Center of Advanced Studies for Applied Economy (CEPEA) of ESALQ / USP, over the January, 2001 to February, 2008 period. The analytical framework includes tests for unitary root and Johansen´s co-integration, the estimation of impulse-response function, the decomposition of the variance of the forecasting error and the vector error correction model (VEC). The results indicate that the first pair of prices did not present any co-integration relationship, however the other two pairs were co-integrated and the variations of prices in the long run, occurred in Rio Grande do Sul, are almost fully transmitted to the soybean prices in Paraná and Mato Grosso. Thus, those markets could be considered perfectly integrated if the hypothesis test of perfect integration between those markets was rejected under the restrictions imposed on the relationship coefficient in the long run. Therefore, the Law of the One Price was not perfectly validate for those soybean markets.

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    File URL: http://purl.umn.edu/108621
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    Paper provided by Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER) in its series 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil with number 108621.

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    Date of creation: Jul 2008
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    Handle: RePEc:ags:sbrfsr:108621
    Contact details of provider: Web page: http://www.sober.org.br/
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